[问答] 多变量协整检验 [推广有奖]

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sunlaodaa 发表于 2014-4-27 14:09:45 |AI写论文

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请各位大神帮忙看以下这个结果是什么....我表示完全看不懂啊！为什么我的表显示了好几个..到底有没有协整关系，有的话有几个，方程是什么？谢谢Date: 04/27/14 Time: 13:49
Sample (adjusted): 2002 2012
Included observations: 11 after adjustments
Trend assumption: Linear deterministic trend
Series: CCL CYJGSJL FIR
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None *    0.951212    43.62393    29.79707    0.0007
At most 1    0.509869    10.40106    15.49471    0.2511
At most 2    0.207424    2.557137    3.841466    0.1098

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None *    0.951212    33.22287    21.13162    0.0006
At most 1    0.509869    7.843918    14.26460    0.3948
At most 2    0.207424    2.557137    3.841466    0.1098

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

CCL CYJGSJL FIR
31.14886 -115.4276    29.92256
-17.98623 -21.16224 -11.55175
-23.18934    68.08928 -14.30535

Unrestricted Adjustment Coefficients (alpha):

D(CCL)    0.004751    0.079605    0.023703
D(CYJGSJL) -0.000138    0.002336 -0.001904
D(FIR) -0.049654 -0.121559 -0.028746

1 Cointegrating Equation(s): Log likelihood    85.03244

Normalized cointegrating coefficients (standard error in parentheses)
CCL CYJGSJL FIR
1.000000 -3.705678    0.960631
   (0.22723)    (0.02122)

Adjustment coefficients (standard error in parentheses)
D(CCL)    0.147980
   (1.56461)
D(CYJGSJL) -0.004301
   (0.06750)
D(FIR) -1.546656
   (2.31325)

2 Cointegrating Equation(s): Log likelihood    88.95440

Normalized cointegrating coefficients (standard error in parentheses)
CCL CYJGSJL FIR
1.000000    0.000000    0.718981
   (0.09609)
0.000000    1.000000 -0.065211
   (0.02614)

Adjustment coefficients (standard error in parentheses)
D(CCL) -1.283812 -2.232984
   (1.37761)    (4.49457)
D(CYJGSJL) -0.046308 -0.033488
   (0.06999)    (0.22836)
D(FIR)    0.639732    8.303871
   (1.98724)    (6.48354)